China financial research: A review and synthesis

Chan, Kam C.; Fung, Hung‐Gay; Thapa, Samanta

doi:10.1016/j.iref.2005.09.004

Cited by 67 publications

(19 citation statements)

References 72 publications

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“…Su and Fleisher, 1999), market efficiency, the price-volume relation (Long et al, 1999) and the significance of global information in Chinese markets (Bailey, 1994, Hu et al, 1997and Huang et al, 2001. Chen et al (2003) provide a review of the literature.…”

Section: Previous Studies On Chinese Stock Marketsmentioning

confidence: 99%

Does herding behavior exist in Chinese stock markets?

Demirer

Kutan

2006

Journal of International Financial Markets, Institutions and Mo

338

181

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Section: Previous Studies On Chinese Stock Marketsmentioning

confidence: 99%

Does herding behavior exist in Chinese stock markets?

Demirer

Kutan

2006

Journal of International Financial Markets, Institutions and Mo

338

181

View full text Add to dashboard Cite

“…For instance, Fan et al (2011) review corporate finance and governance, Kearney (2012) focuses on trends and Atilgan et al (2015) review empirical studies regarding equity returns. Other earlier papers studying diverse issues in financial economics on emerging markets include emerging markets finance (Beakert, 2003), financial crises in emerging markets (Khilji, 2003), asset pricing puzzles (Hurn and Siklos, 2006), futures contracts and derivative markets (Lien and Tse, 2006;Lien and Zhang, 2008) and China's financial markets (Chan et al, 2007), among others.…”

Section: Introductionmentioning

confidence: 99%

Investor response to public news, sentiment and institutional trading in emerging markets: A review

Brzeszczyński

Gajdka

Kutan

2015

International Review of Economics & Finance

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This paper reviews the literature on investor reaction and sentiment with respect to public information arrival in emerging markets and discusses the implications of the findings for the validity of theoretical models emphasizing public information arrival as the main mover of asset prices. We cover three types of public information news: monetary policy announcements, the International Monetary Fund (IMF) related news and other public and political news. In addition, we review the literature on sentiment and institutional trading in emerging markets. We summarize general findings and suggest some directions for further research.

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“…1 This paper adds to the international predictability literature by exploring whether economic links between countries are useful for identifying predictor variables for the Chinese market. Chan, Fung, and Thapa (2007) provide a recent survey of financial research on China. 2 They discuss several crosssectional predictability studies but virtually nothing on aggregate market OOS predictability.…”

Section: Introductionmentioning

confidence: 99%

Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market

Jordan

Vivian

Wohar

2014

Journal of International Money and Finance

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We explore whether economic links via trade affect aggregate Chinese stock market returns. We find that market return indices from countries that China net imports from can forecast the Chinese aggregate market return at the weekly time horizon. The stock returns of countries that China net exports to have no consistently significant OOS predictability.The economic intuition for our results follows from the fact that China has positioned itself as a low-cost provider competing on price. As a low-cost provider China has a more difficult time passing cost increases through to export customers because of sticky prices. However, import costs, e.g., raw materials, are subject to both consumption and speculative demand and thus vary. We can conclude that costs will drive short term economic gains for the overall Chinese economy. One interpretation of our results is that supply shocks are absorbed within 2 weeks. IntroductionCan aggregate Chinese stock returns be forecast? To date, there is mixed US evidence on out-of-sample (OOS) predictability using fundamentals and macro variables, the two work horses of the predictability literature. However, outside the US there is mounting evidence that markets are predictable by alternative (2012) and Lee and Rui (2000) for a review of the international fundamental predictability literature.2 Some papers examine the relation between China and other aggregate markets. However, these papers focus on the Greater China markets or a sample of Asian countries, sometimes including the US. Hsiao, Ching, and Wan (2012) explore the impact on 24 countries from the economic integration of Hong Kong with mainland China. The focus in this literature is on contagion or other market linkage characteristics. A significant difference between this line of literature and our paper is that this line of literature does not explore out-of-sample forecasting. 3 We explore the predictability of the aggregate Chinese market. However, there are two papers that explore predictability of cross-sectional differences. First, Wang and Xu (2004) apply a three-factor model to A-shares in the Chinese stock market using data from July 1996-June 2002. They find that size is able to explain the cross-sectional differences. Contrary to the findings using US data, the beta and book-to-market ratio did not account for return differences across individual stocks. Second, Chen, Kim, Yao, and Yu (2010) consider 18 firm-specific variables that have been show to predict cross-sectional stock returns in the US, and examine their relation to stock returns (at the annual horizon) in China over the period 1995-2007. They find that only 5 of the 18 variables predict Chinese stock returns. The explanation for this finding of weak predictability that they find support for is that, i) return predictors in China are less heterogeneously distributed than they are in the US and ii) stock prices in China are less informative in China than they are in the US, in the sense that there are persistent noisy valuations and persiste...

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China financial research: A review and synthesis

Cited by 67 publications

References 72 publications

Does herding behavior exist in Chinese stock markets?

Does herding behavior exist in Chinese stock markets?

Investor response to public news, sentiment and institutional trading in emerging markets: A review

Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market

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